Probability reading group

• "Lévy processes and the Lévy-Khintchine formula" (Oct 26 and Nov 02, 2010). Based on the book "Lévy processes" by J. Bertoin.
• "Jumps of a Lévy process and Poisson random measures" (Jan 17, 2011). Based on the book "Lévy processes and stochastic calculus" by D. Applebaum.
• "Characterization of Lévy processes by means of the semigroup and generator" (Feb 06, 2011). Based on the book "Lévy processes and stochastic calculus" by D. Applebaum.
• "Local times" (May 16, 2011). Based on the book "Continuous martingales and Brownian motion" by D. Revuz and M. Yor.

Stochastic Finance reading group

• "American contingent claims and optimal stopping" (Nov 05, 2010). Based on the book "Methods for Mathematical Finance" by I. Karatzas and S. Shreve.
• "American option pricing in a regime-switching model" (Feb 16, 2011). Based on the paper "Closed-form solutions for perpetual American put options with regime switching" by X. Guo and Q. Zhang.
• "Comparison of option prices by time-change" (May 25, 2011). Based on the paper "Analytical comparison of option prices in stochastic volatility models" by V. Henderson.
• "Portfolio Selection as a stochastic control problem" (Jan 25 and Feb 01, 2012). Based on the paper "Portfolio selection with transaction costs" by M. Davis and A. Norman.
• "Term structure of interest rates" (Nov 29, 2012).
• "The three-dimensional Bessel process" (May 22 and May 29, 2013). Based on the book "Continuous martingales and Brownian motion" by D. Revuz and M. Yor.

Young Researchers Meeting

• "Regularity of the value function of optimal stopping values" March 2012 (Talk).
  
• "Bellman's principle, Ito's formula and the Dirichlet problem: an application to a game of stopping and control" 23 April 2013 (Talk).
• "Time-change and control of dynamics" 03 December 2013 (Talk).